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I have a few LTTF systems - one based on traditional breakout entries, one on volatility breakouts and one on a retracement. The retracement based system only enters after some evidence of a short term resumption in the main trend, but it certainly doesn't require a new 20 day high to enter. Similar...

Not sure exactly what you are trying to achieve with the reference to the percentage moves, but why not use a move in ATR terms instead? I'm probably stating the obvious, but the problem with using a percentage of price is that 5% for one contract might be a huge move, while 5% might be noise for an...

Tradesim is also capable of doing this type of multi-system portfolio simulation. It is a simulation package which piggybacks on Metastock (www.compuvision.com.au). You can define any number of systems to trade simultaneously in a portfolio. You can specify (with a little creativity) whether to trad...

Another alternative to consider (if you are trading very long term TF) might be to exit / resize the position every X days. For example, say you enter long on an 80 day breakout and exit on a 80 day low...every 50 days you could close the position, reenter at the next 80 day high breakout with a pos...

I trade a purely mechanical trend following system based on Equities price / volume data. I like the idea of incorporating fundamental information (yield, P/E ratio, price:book etc) in my equities systems but I have not found any sources for the historical fundamental information required to back te...

There is obviously no clear cut answer to the problem to how (if at all) to take new trades when your equities account is fully loaded...but a pragmatic approach based on some of the comments above might be: 1. When fully loaded, skip the first signal in the stock (with my LTTF system the first leve...

I am looking for some general guidelines for mechanical system design to help avoid overfitting to past data. As a general rule it would make sense to try to minimise the number of trading rules and also only use rules which come into play frequently (ie. avoid rules which eliminate a small number o...

Sluggo, Thanks for your thoughts - I will spend some time looking at how to back test these...I am a little conflicted by the idea of slimming down my existing positions in order to open new ones as this seems to be against the idea of letting profits run and maximising P&L impact from winning trade...

Thanks for your reply - good thoughts. I will spend some time going through my actual and simulated big winners to identify any similarities in their behaviour at the end of the trend to generate exit signals before the trailing stop is hit. I like the idea of incorporating fundamental data into bot...

I have been trading an equity trend following system for ~3 years now with a fair degree of success. My system enters when a strong trend is in place which has a short pull back before continuing in the direction of the trend (not rocket science and not much optimisation involved). My exits are base...